FİNANSAL RİSKLERİN UÇ DEĞER KURAMI İLE ÖLÇÜLMESİ

Authors : Ayse ARIK, Basak BULUT, Meral SUCU

Pages : 119-134

View : 16 | Download : 7

Publication Date : 2013-11-22

Article Type : Research Paper

Abstract :Normal 0 21 false false false TR X-NONE X-NONE The extreme values in financial markets have been investigated in this study by using two different methods of extreme value theory: block maxima method and peaks over threshold method . Value at Risk, expected shortfall and return level are the risk tools that are taken benefit for risk analysis. Risks of an investor that has a position on IMKB-100 return index have been analyzed by measuring risk values for different percentages and performances of the methods have been compared    
Keywords : Uç değer kuramı, Riske maruz değer, Beklenen açık, Getiri seviyesi